Bayesian estimation of agent-based models
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Cites work
- A calibration procedure for analyzing stock price dynamics in an agent-based framework
- A Rational Route to Randomness
- A tutorial on approximate Bayesian computation
- An introduction to MCMC for machine learning
- Approximate Bayesian computational methods
- Bayesian estimation of DSGE models
- Bridging the ensemble Kalman filter and particle filters: The adaptive Gaussian mixture filter
- Constructing summary statistics for approximate Bayesian computation: semi-automatic approximate Bayesian computation. With discussion and authors' reply
- Data Assimilation
- Empirical validation of stochastic models of interacting agents
- Estimation of agent-based models: The case of an asymmetric herding model
- Estimation of ergodic agent-based models by simulated minimum distance
- Handbook of Monte Carlo Methods
- Heterogeneous beliefs and routes to chaos in a simple asset pricing model
- scientific article; zbMATH DE number 6114094 (Why is no real title available?)
- scientific article; zbMATH DE number 3514781 (Why is no real title available?)
- scientific article; zbMATH DE number 4001209 (Why is no real title available?)
- Managing market complexity. The approach of artificial economic.
- Methods to estimate dynamic stochastic general equilibrium models
- The pseudo-marginal approach for efficient Monte Carlo computations
- The rate of convergence for approximate Bayesian computation
Cited in
(27)- Estimation of ergodic agent-based models by simulated minimum distance
- Estimation of financial agent-based models with simulated maximum likelihood
- Agent-based model calibration using machine learning surrogates
- Estimation of agent-based models using sequential Monte Carlo methods
- Endogenous growth and global divergence in a multi-country agent-based model
- Public health interventions in the face of pandemics: network structure, social distancing, and heterogeneity
- Automated and distributed statistical analysis of economic agent-based models
- Search for profits and business fluctuations: how does banks' behaviour explain cycles?
- Forecasting in a complex environment: machine learning sales expectations in a stock flow consistent agent-based simulation model
- Bayesian statistical inference for European options with stock liquidity
- A comparison of economic agent-based model calibration methods
- Estimation of agent-based models using Bayesian deep learning approach of BayesFlow
- Multi-agent-based VaR forecasting
- Macroeconomic simulation comparison with a multivariate extension of the Markov information criterion
- Heterogeneity in economic relationships: scale dependence through the multivariate fractal regression
- Estimation of an agent-based model of investor sentiment formation in financial markets
- Statistical Implementations of Agent‐Based Demographic Models
- Estimation of heuristic switching in behavioral macroeconomic models
- Some models are useful, but how do we know which ones? Towards a unified Bayesian model taxonomy
- Approximate Bayesian inference for agent-based models in economics: a case study
- Black-box Bayesian inference for agent-based models
- Bayesian estimation of large-scale simulation models with Gaussian process regression surrogates
- Bayesian calibration of stochastic agent based model via random forest
- Lack of identification of parameters in a simple behavioral macroeconomic model
- An Artificial Market for Brazilian Real Estate Investment Funds: An Agent-Based Proposal
- Bayesian estimation of a large-scale macroeconomic policy agent-based model
- A global optimization heuristic for estimating agent based models
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